Shock and Volatility Interaction Between The Sector Indexes of Istanbul Stock Exchange
This paper investigates the shock and volatility transmission between the Istanbul Stock Exchange (ISE) sector indexes. Using daily data of ISE National Industry, National Service, National Finance and National Technology indexes from July 30, 2000 to August 27, 2009 and employing a series of multivariate GARCH models, strong shock and volatility spillovers are detected among the sectors. Since these sector indexes are taken as indicator for various investment assets, it is important for financial investors to understand the volatility transmission mechanism across the sectors in order to make optimal portfolio allocation decisions. In this context, the results of this study provide a useful scope of application for the investors. The results are also indicative for policy makers and regulators.
Volume (Year): 4 (2010)
Issue (Month): 1 ()
|Contact details of provider:|| Postal: Atatürk Bulvarı No:191 B Blok 06680 KAVAKLIDERE/ANKARA|
Phone: +90-312-455 65 00
Fax: +90-312-424 08 77
Web page: http://www.bddk.org.tr/WebSitesi/turkce/Raporlar/BDDK_Dergi/BDDK_Dergi.aspx
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:bdd:journl:v:4:y:2010:i:1:p:91-104. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zafer Kovancý)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.